Fundamental Theorems of Asset Pricing for Good Deal Bounds
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Soumik Pal, 2006. "Computing strategies for achieving acceptability," Papers math/0607617, arXiv.org.
- Takuji Arai, 2008. "Good deal bounds induced by shortfall risk," Papers 0802.4141, arXiv.org, revised Mar 2010.
- Dilip Madan, 2015. "Asset pricing theory for two price economies," Annals of Finance, Springer, vol. 11(1), pages 1-35, February.
- Leitner Johannes, 2005. "Optimal portfolios with expected loss constraints and shortfall risk optimal martingale measures," Statistics & Risk Modeling, De Gruyter, vol. 23(1/2005), pages 49-66, January.
- Nicole EL KAROUI & Claudia RAVANELLI, 2008. "Cash Sub-additive Risk Measures and Interest Rate Ambiguity," Swiss Finance Institute Research Paper Series 08-09, Swiss Finance Institute.
- Pal, Soumik, 2007. "Computing strategies for achieving acceptability: A Monte Carlo approach," Stochastic Processes and their Applications, Elsevier, vol. 117(11), pages 1587-1605, November.
- Takuji Arai, 2015. "Good deal bounds with convex constraints," Papers 1506.00396, arXiv.org.
- Takuji Arai & Masaaki Fukasawa, 2011. "Convex risk measures for good deal bounds," Papers 1108.1273, arXiv.org.
- Vadim Lesnevski & Barry L. Nelson & Jeremy Staum, 2007. "Simulation of Coherent Risk Measures Based on Generalized Scenarios," Management Science, INFORMS, vol. 53(11), pages 1756-1769, November.
- Roorda, Berend & Schumacher, J.M., 2007. "Time consistency conditions for acceptability measures, with an application to Tail Value at Risk," Insurance: Mathematics and Economics, Elsevier, vol. 40(2), pages 209-230, March.
- Patrick Cheridito & Michael Kupper & Ludovic Tangpi, 2016. "Duality formulas for robust pricing and hedging in discrete time," Papers 1602.06177, arXiv.org, revised Sep 2017.
- Takuji Arai, 2016. "Good deal bounds with convex constraints: --- examples and proofs ---," Keio-IES Discussion Paper Series 2016-017, Institute for Economics Studies, Keio University.
- Balbás, Alejandro, 2008. "Capital requirements: Are they the best solution?," DEE - Working Papers. Business Economics. WB wb087114, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
- Balbás, Alejandro & Balbás, Raquel, 2009. "Compatibility between pricing rules and risk measures: the CCVaR," DEE - Working Papers. Business Economics. WB wb090201, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
- Balbás, Alejandro & Balbás, Beatriz & Balbás, Raquel, 2010. "CAPM and APT-like models with risk measures," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1166-1174, June.
- Bion-Nadal, Jocelyne, 2009. "Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk," Journal of Mathematical Economics, Elsevier, vol. 45(11), pages 738-750, December.
- Marco Frittelli & Giacomo Scandolo, 2006. "Risk Measures And Capital Requirements For Processes," Mathematical Finance, Wiley Blackwell, vol. 16(4), pages 589-612.
- PInar, Mustafa Ç. & Salih, AslIhan & CamcI, Ahmet, 2010. "Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming," European Journal of Operational Research, Elsevier, vol. 201(3), pages 770-785, March.
- Balbás, Alejandro & Balbás, Raquel & Garrido, José, 2010. "Extending pricing rules with general risk functions," European Journal of Operational Research, Elsevier, vol. 201(1), pages 23-33, February.
- repec:wsi:ijtafx:v:20:y:2017:i:02:n:s021902491750011x is not listed on IDEAS
More about this item
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:mathfi:v:14:y:2004:i:2:p:141-161. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0960-1627 .
We have no references for this item. You can help adding them by using this form .